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Stock index futures arbitrage: International evidence

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  • Pradeep K. Yadav
  • Peter F. Pope

Abstract

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  • Pradeep K. Yadav & Peter F. Pope, 1990. "Stock index futures arbitrage: International evidence," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 10(6), pages 573-603, December.
    • Handle: RePEc:wly:jfutmk:v:10:y:1990:i:6:p:573-603
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    Citations

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    Cited by:

    1. Panayiotis Andreou & Yiannos Pierides, 2008. "Empirical investigation of stock index futures market efficiency: the case of the Athens Derivatives Exchange," The European Journal of Finance, Taylor & Francis Journals, vol. 14(3), pages 211-223.
    2. Lafuente, Juan A. & Novales, Alfonso, 2003. "Optimal hedging under departures from the cost-of-carry valuation: Evidence from the Spanish stock index futures market," Journal of Banking & Finance, Elsevier, vol. 27(6), pages 1053-1078, June.
    3. Garrett Ian & Taylor Nicholas, 2001. "Intraday and Interday Basis Dynamics: Evidence from the FTSE 100 Index Futures Market," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 5(2), pages 1-22, July.
    4. H. Kent Baker & Satish Kumar & Nitesh Pandey, 2021. "Forty years of the Journal of Futures Markets: A bibliometric overview," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(7), pages 1027-1054, July.
    5. Lai, Ya-Wen & Lin, Chiou-Fa & Tang, Mei-Ling, 2017. "Mispricing and trader positions in the S&P 500 index futures market," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 250-265.
    6. Kristoffer Glover & Hardy Hulley, 2022. "Financially constrained index futures arbitrage," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(9), pages 1688-1703, September.
    7. Ivan Paya & David A. Peel, 2011. "Systematic sampling of nonlinear models: Evidence on speed of adjustment in index futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 31(2), pages 192-203, February.
    8. Białkowski, Jędrzej & Perera, Devmali, 2019. "Stock index futures arbitrage: Evidence from a meta-analysis," International Review of Financial Analysis, Elsevier, vol. 61(C), pages 284-294.
    9. Ariful Hoque, 2011. "Transaction Cost Discovery By Decomposition Of The Error Term: A Bootstrapping Approach," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 5(1), pages 113-121.
    10. Hakan Er & Adnan Hushmat, 2017. "The application of technical trading rules developed from spot market prices on futures market prices using CAPM," Eurasian Business Review, Springer;Eurasia Business and Economics Society, vol. 7(3), pages 313-353, December.
    11. Yu‐Lun Chen & Yen‐Hsien Lee & Robin K. Chou & Ya‐Kai Chang, 2021. "Arbitrage trading and price discovery of the regular and mini Taiwan stock index futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(6), pages 926-948, June.
    12. Jangkoo Kang & Chang Joo Lee & Soonhee Lee, 2006. "An Empirical Investigation of the Lead-Lag Relations of Returns and Volatilities among the KOSPI200 Spot, Futures and Options Markets and their Explanations," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 5(3), pages 235-261, December.
    13. Gurmeet Singh, 2017. "Estimating Optimal Hedge Ratio and Hedging Effectiveness in the NSE Index Futures," Jindal Journal of Business Research, , vol. 6(2), pages 108-131, December.
    14. Louis Cheng & Jay White, 2003. "Measuring Pricing Inefficiencies Under Stressful Market Conditions," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 30(3‐4), pages 383-411, April.

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